Related papers: Affine multiple yield curve models
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…
The problem of Hybrid Linear Modeling (HLM) is to model and segment data using a mixture of affine subspaces. Different strategies have been proposed to solve this problem, however, rigorous analysis justifying their performance is missing.…
This article presents a generic framework for modeling the dynamics of forward curves in commodity market as commodity derivatives are typically traded by futures or forwards. We have theoretically demonstrated that commodity prices are…
We study the affine schemes of modules over gentle algebras. We describe the smooth points of these schemes, and we also analyze their irreducible components in detail. Several of our results generalize formerly known results, e.g. by…
Multiphase flows are an important class of fluid flow and their study facilitates the development of diverse applications in industrial, natural, and biomedical systems. We consider a model that uses a continuum description of both phases…
It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR…
We propose and experimentally demonstrate an innovative stock index prediction method using a weighted optical reservoir computing system. We construct fundamental market data combined with macroeconomic data and technical indicators to…
Multi-calibration is a powerful and evolving concept originating in the field of algorithmic fairness. For a predictor $f$ that estimates the outcome $y$ given covariates $x$, and for a function class $\mathcal{C}$, multi-calibration…
A new modelling approach that directly prescribes dynamics to the term structure of VIX futures is proposed in this paper. The approach is motivated by the tractability enjoyed by models that directly prescribe dynamics to the VIX,…
We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation…
Given the promising results on joint modeling of SPX/VIX smiles of the recently introduced quadratic rough Heston model, we consider a multi-asset market making problem on SPX and its derivatives, e.g. VIX futures, SPX and VIX options. The…
We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of "reciprocal affine" models for which the indifference price and optimal hedge portfolio for pure…
We study a functional linear regression model that deals with functional responses and allows for both functional covariates and high-dimensional vector covariates. The proposed model is flexible and nests several functional regression…
We study generalised additive models, with shape restrictions (e.g. monotonicity, convexity, concavity) imposed on each component of the additive prediction function. We show that this framework facilitates a nonparametric estimator of each…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
Inside the discipline of graph theory exists an extension known as the hypergraph. This generalization of graphs includes vertices along with hyperedges consisting of collections of two or more vertices. One well-studied application of this…
We present a topological framework for finding low-flop algorithms for evaluating element stiffness matrices associated with multilinear forms for finite element methods posed over straight-sided affine domains. This framework relies on…
Recently, a unified framework for adaptive kernel based signal processing of complex data was presented by the authors, which, besides offering techniques to map the input data to complex Reproducing Kernel Hilbert Spaces, developed a…